发帖
雷达卡
英文标题：
《Patterns of trading profiles at the Nordic Stock Exchange. A
correlation-based approach》
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作者：
Federico Musciotto, Luca Marotta, Salvatore Miccich\\`e, Jyrki Piilo,
Rosario N. Mantegna
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最新提交年份：
2015
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英文摘要：
We investigate the trading behavior of Finnish individual investors trading the stocks selected to compute the OMXH25 index in 2003 by tracking the individual daily investment decisions. We verify that the set of investors is a highly heterogeneous system under many aspects. We introduce a correlation based method that is able to detect a hierarchical structure of the trading profiles of heterogeneous individual investors. We verify that the detected hierarchical structure is highly overlapping with the cluster structure obtained with the approach of statistically validated networks when an appropriate threshold of the hierarchical trees is used. We also show that the combination of the correlation based method and of the statistically validated method provides a way to expand the information about the clusters of investors with similar trading profiles in a robust and reliable way.
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中文摘要：
我们调查了芬兰个人投资者的交易行为，通过跟踪个人每日投资决策，选择2003年计算OMXH25指数的股票进行交易。我们从多个方面验证了投资者群体是一个高度异质的系统。我们介绍了一种基于相关性的方法，能够检测异质个人投资者交易档案的层次结构。我们验证了当使用适当的层次树阈值时，检测到的层次结构与通过统计验证网络方法获得的聚类结构高度重叠。我们还表明，基于相关性的方法和经过统计验证的方法相结合，提供了一种方法，可以以稳健可靠的方式扩展具有类似交易概况的投资者集群的信息。
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Trading and Market Microstructure 交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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一级分类：Quantitative Finance 数量金融学
二级分类：General Finance 一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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